BEA online research seminar – Ilja Kantorovitch

We are pleased to invite you to the next Baltic Economic Association Online Research Seminars and are delighted to welcome Ilja Kantorovitch (École Polytechnique Fédérale de Lausanne, Switzerland). Ilja is currently a Postdoctoral Researcher Luisa Lambertini’s Chair of International Finance at EPFL in Lausanne, Switzerland. He did his PhD at the Universitat Pompeu Fabra in Barcelona. His research focuses on information frictions in financial markets and the macroeconomy. He is interested in understanding how information production and belief formation influence outcomes in financial markets and, subsequently, in the macroeconomy. Ilja was awarded the Best PhD Paper Award at the 3rd Baltic Economic Association Conference. He was also a finalist at the 2021 ECB Young Economists Competition.

More about the speaker: https://www.kantorovitch.eu/home

Speaker: Ilja Kantorovitch (EPFL, Lausanne)

Title: Does Dispersed Sentiment drive Returns, Turnover, and Volatility for Bitcoin? (with Janko Heineken)

Paper available here.

Abstract:

We test the theoretical predictions of the differences-of-opinion literature by analyzing the extensive online discussion on Bitcoin to build a time-varying sen- timent distribution, defining disagreement as dispersion in sentiment. High disagreement is associated with negative returns, high turnover growth, and high volatility, confirming the theory’s predictions. However, we do not find that an increase in disagreement increases the price, which is seemingly at odds with the theoretical prediction of disagreement leading to overpricing. As the theory predicts, the disagreement effect weakens significantly after shorting instruments were introduced at the end of 2017. Our results are economically significant: at the monthly frequency, a one standard deviation increase in disagreement leads to a 9.2 percentage points lower cumulative return over the following eight months, and the adjusted R2 of regressing contemporaneous returns on average sentiment and disagreement is 0.33.

Date: Thursday, January 27

Time: 16:00 Vilnius, Riga, Tallinn

Join Zoom Meeting
https://sseriga-edu.zoom.us/j/84807562729?pwd=OUUramhUVVNULzdLZ1l0UlIxM0x4dz09

Meeting ID: 848 0756 2729
Passcode: 654163

BEA online research seminar – Artūras Juodis

We are pleased to invite you to the next Baltic Economic Association Online Research Seminars and are delighted to welcome Artūras Juodis (University of Amsterdam). Arturas earned a PhD from the University of Amsterdam and the Tinbergen Institute. He is now an Assistant Professor at the Amsterdam School of Economics where his research focuses on econometric theory of panel data models. His current research on econometrics of misspecified panel data models is financed by the NWO Veni grant. His research was published in the Journal of Econometrics, the Journal of Business and Economic Statistics, and the Econometrics Journal, among others.

More about the speaker: https://sites.google.com/site/ajuodisresearch/home?authuser=0

Speaker: Artūras Juodis (University of Amsterdam)

Title: This Shock is Different: Estimation and Inference in Misspecified Two-Way Fixed Effects Regressions 

Paper available here.

Abstract:

We investigate the properties of the linear Two-way Fixed Effects (FE) estimator for panel data when the underlying Data Generating Process (DGP) of all observed variables is left completely unspecified. The FE estimator is consistent for some pseudo-true value and characterize the corresponding asymptotic distribution. We show that the rate of convergence is determined by the degree of model misspecification, and that the asymptotic distribution can be non-normal. Furthermore, we argue that uniform non-conservative inference is impossible in this setup, and propose a novel Autoregressive Double Adaptive Wild (AdaWild) bootstrap procedure applicable for a large class of DGPs. Our bootstrap procedure is easy to compute, and Monte Carlo simulations show that it performs well. We use data from U.S. manufacturing industries to illustrate the benefits of our procedure.

Date: Thursday, December 16

Time: 16:00 Vilnius, Riga, Tallinn

Join Zoom Meeting
https://sseriga-edu.zoom.us/j/85426463318?pwd=d04wVlM5OVdvOXFLd09aUWh4cXhjdz09

Meeting ID: 854 2646 3318
Passcode: 627358